Studies indicate that eating locations can influence food choices. However, the relationship with ultra-processed foods has been little explored. The objective was to assess the association between eating locations and ultra-processed foods consumption in the UK in 2014–2016. Data from 2,449 individuals aged 4 years or older from the NDNS were analysed cross-sectionally. Food consumption information was collected through 4-day food diaries. Recorded foods were classified into NOVA system. The eating locations were grouped into nine categories (home, institutional places, sit-down restaurants, on the go, coffee shops, leisure and sports clubs, fast food, friends and relatives’ house, and other places). Linear regression models were carried out. The coefficients represent the increment in the contribution of ultra-processed foods to total energy intake for each percentage point increase in the contribution of each eating location to total energy intake. Among children, consumption at home was inversely associated with ultra-processed foods consumption (β: −0.10; 95% CI −0.17, −0.03), while in leisure and sports places (0.47; 0.20, 0.73) directly associated. For adolescents, eating at home (−0.12; −0.19, −0.05) was inversely associated with the consumption of ultra-processed foods, as well as sit-down restaurants (−0.21; −0.38, −0.03). Fast food (0.29; 0.12, 0.47) were directly associated with the consumption of ultra-processed foods for adolescents. Finally, for adults, sit-down restaurants (−0.13; −0.22, −0.03) showed to be inversely associated with the consumption of ultra-processed foods while in fast food restaurants (0.77; 0.38, 1.17) it was directly associated. Our results showed that the eating locations have different impacts on diet quality.